exposed towards domestic option products, they neglect the possibility of engaging in foreign volatility arbitrage. These …

We investigate the arbitrage-free property of stock price models where the local martingale component is based on an … models in the literature admit arbitrage opportunities. We investigate in detail the features of the existing model … specifications which create these arbitrage opportunities, and consequently construct a modification that is arbitrage free …

the prices across these markets are mutually consistent, and are free from arbitrage trades …

We propose a method for determining an arbitrage-free density implied by Hagan’s formula. Our technique is based on the … function (SDF) and project them on a polynomial of an arbitrage-free variable for which we choose the Gaussian variable. In … this way we have equality in probability at the collocation points while the generated density is arbitrage-free. Analytic …

, and the transaction cost and market friction are considered in building the arbitrage-free spread interval. By comparing … Treasury futures. We find that there are many arbitrage opportunities among the three varieties, and the market is not fully … Treasury futures market will lead to higher market efficiency, shorter duration of arbitrage opportunities, and a faster return …

^d-valued process. A strategy H is called extreme if it represents a maximal arbitrage opportunity. By this we mean that H generates at … zero. We characterize those subsets of F^e, on which no arbitrage opportunities exist. …

We consider fundamental questions of arbitrage pricing arising when the uncertainty model is given by a set of possible … mutually singular probability measures. With a single probability model, essential equivalence between the absence of arbitrage … equivalent symmetric martingale measure sets, in a dynamic trading framework under absence of prior depending arbitrage. We prove …